In general, you can't do it. The reason behind the links opening in a browser is that they use the same protocols of normal web links. So if the particular app is not a browser, the links have to be opened with a browser app.
But you may have seen some links (particularly links to Android apps on the market) can be opened with the Android Market/Google Play Store app. This is possible because those links use
market:// in their links rather than typical
If you need to confirm it, try clearing the defaults of your Chrome browser. It will make you choose an app to open a link when you click them. This will give you an open link with option (of course, to use the browser apps)
To do this, go to
Settings -> Apps and select the Chrome app. Scroll to the bottom and find a clear defaults button and click it.